Yes they do due to their convexity profile. The warrants have option pricing components due to their embedded optionality. Once and if the stock gets high enough, the gamma (convexity) abates and they simply move in lock step with the stock as the pricing becomes all delta (a one for one move).
Until you get to a high enough price circa 80, you will most likely see the arbitrage go away. Importantly, the circa 80 has to be maintained for sone time and consolidates there for the arbitrage to close. If it blips to 80 several times but doesn’t hold, the arbitrage won’t close. Therefore, we will continue to see sharper returns or sharper declines until the stock settles in a range towards 75-85 and the daily and intraday swings decline therefore reducing volatility.
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